IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

Inverse Vertical Ratio Put Spread Strategy and its Application in Hedging Against a Price Drop

Listed author(s):
  • Vincent Šoltés


    (Department of Finance, Faculty of Economics, Technical University of Košice)

  • Omer Faraj S. Amaitiek


    (Department of Finance, Faculty of Economics, Technical University of Košice)

The paper proposes a generalization of a strategy known as the Long Two Buy One Ratio Put or Put Backspread Strategy. Moreover, it proposes an application of the strategy in hedging against a price drop of the underlying asset to a future date in a way which enables hedging with zero cost. We have found a profit function, as well as a function of income from a hedged position in the analytical form, which simplifies the application in particular hedging.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
Download Restriction: no

Article provided by ASERS Publishing in its journal Journal of Advanced Studies in Finance.

Volume (Year): I (2010)
Issue (Month): 1 (June)
Pages: 100-107

in new window

Handle: RePEc:srs:jasf12:8:v:1:y:2010:i:1:p:100-107
Contact details of provider: Web page:

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:srs:jasf12:8:v:1:y:2010:i:1:p:100-107. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Laura Stefanescu)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.